Center for Data, Mathematical, and Computational Sciences

February 14, 2023Maximum Likelihood Estimation for Discretely Observed Multivariate Vasicek Processes

Tuesday, February 21, 2023 – Via WebEx

Please join us for a DMC Lecture Series event: Maximum Likelihood Estimation for Discretely Observed Multivariate Vasicek Processes, given by Dr. Michael Pokojovy, Assistant Professor, Department of Mathematical Sciences, PhD Program in Data Science, PhD Program in Computational Science, The University of Texas at El Paso (UTEP)!

This talk will discuss analyzing multiple zero-coupon bonds simultaneously to forecast future short rate dynamics. Those forecasts can play important roles in risk management, portfolio optimization, and other applications.

Because of low correlation with other asset classes, bonds play major roles in portfolio diversification efforts. A pure discount or a zero-coupon bond is a contract that does not involve intermediate interest payments but is traded at a deep discount, rendering yields at maturity when redeemed at full face value. As investment funds can create robust diversified portfolios with bonds, it is imperative that multiple bonds be analyzed simultaneously. The classical Vasicek model studies individual zero-coupon bonds and assumes the instantaneous interest rate follows a mean reverting process. In this talk, we consider an extension of the original Vasicek model to multiple zero-coupon bonds. The resulting coupled model is given by a stochastic differential equation driven by a p-dimensional white noise process. Given a set of observations over an equispaced time grid, our goal is to calibrate the system and forecast future short rate dynamics. Those forecasts can play important roles in risk management, portfolio optimization, and other applications. This is joint work with Ebenezer Nkum and Thomas M. Fullerton (UTEP).

Michael Pokojovy is an Assistant Professor of Data Science and Statistics. He holds a Ph.D. and a Dipl.-Math. degree in Mathematical Sciences, both from the University of Konstanz, Germany. Prior to his current appointment at UTEP, Dr. Pokojovy has held several postdoctoral positions in Europe and the US. His research interests include Statistical & Machine Learning, Big Data Analytics, Scientific Computing, etc. In addition to numerous theoretical and methodological developments, he has a track record of collaborative research in statistical process control, quantitative finance, engineering, biomedical sciences, rational mechanics, etc. He has authored and co-authored a number of publications in a variety of professional journals. Dr. Pokojovy has also mentored and advised numerous undergraduate, graduate and doctoral students as well as postdoctoral scholars who are now successfully pursuing various exciting careers in industry or academia.

This talk was supported by a grant from the Ramapo College Foundation.

WebEx information will be provided upon registration

Categories: Data Science, Lecture Series, MSCS, MSDS

February 3, 2023Ramapo College and CCM Sign New Jersey’s First Data Science Transfer Agreement!

Ramapo College of New Jersey and County College of Morris (CCM) have partnered to create pathways for aspiring data scientists to earn a masters in data science in as little as five years. Through the 2+2+1 agreement, students can begin their education at CCM to earn their associate degree and then seamlessly transfer to Ramapo to earn their bachelors degree and then a masters in data science if they wish. Thomas Ortega, a graduate of Morris Hills High School and CCM, is in his fourth year in the 2+2+1 program and serves as the founder and President of the Ramapo College Data Science Club. Ramapo’s Master of Science in Data Science program is nationally ranked a Top 30 Masters program by Fortune Magazine, making it the #1 graduate data science program in New Jersey. By taking a number of graduate courses as an undergraduate at Ramapo, the masters can be completed in one year, allowing students to enjoy significant savings on their higher education. CCM now has more than 170 transfer agreements to ease the process of earning an associate and then a bachelors degree.

January 3, 2023Data Storytelling: The Secret to Delivering Business Impact with Analytics

Thursday, January 26, 2023 – 7-8pm – Location ASB 323

Please join us for a DMC Lecture Series event on Data Storytelling: The Secret to Delivering Business Impact with Analytics, given by Ganes Kesari, the Co-founder and Chief Decision Scientist at Gramener!

Did you know that over 50% of analytics projects fail due to bad data storytelling? Organizations invest heavily in hiring data science experts, buying expensive licenses, and setting up analytics processes. However, without the right data visualization, all this effort will go to waste. Stories have the power to engage people and inspire them to action. This session will introduce you to the concept of data storytelling. It will reveal the 4 steps to mastering visual storytelling with data using exciting industry examples.

Takeaways:

Understand the top challenges in converting data into actionable business decisions
Learn the 4-steps to building powerful data stories using real-world case studies
Find out how data visualization can drive decision-making at organizations

Ganes Kesari is the Co-founder and Chief Decision Scientist at Gramener , a data science company that helps organizations present data insights as stories. He advises executives on data-driven leadership and helps organizations adopt a data culture. Ganes is a TEDx speaker and Forbes Contributor. Find his latest work here: gkesari.com.

This talk was supported by a grant from the Ramapo College Foundation.

Categories: Data Science, Lecture Series, MSCS, MSDS